Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0059 |
| Annualized Std Dev | 0.1093 |
| Annualized Sharpe (Rf=0%) | 0.0538 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2895.0000 |
| NAs | 1.0000 |
| Minimum | -0.1708 |
| Quartile 1 | -0.0013 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0020 |
| Maximum | 0.0841 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0000 |
| Stdev | 0.0069 |
| Skewness | -4.9115 |
| Kurtosis | 170.8941 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0054 |
| Gain Deviation | 0.0050 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0104 |
| Downside Deviation (Rf=0%) | 0.0054 |
| Downside Deviation (0%) | 0.0054 |
| Maximum Drawdown | 0.3415 |
| Historical VaR (95%) | -0.0070 |
| Historical ES (95%) | -0.0156 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2016-07-25 | 2020-03-18 | NA | -0.3415 | 1173 | 919 | NA |
| 2010-09-17 | 2013-12-26 | 2016-07-22 | -0.1577 | 1472 | 825 | 647 |
| 2010-03-18 | 2010-05-06 | 2010-07-26 | -0.1062 | 90 | 35 | 55 |
| 2009-09-28 | 2009-11-03 | 2009-12-07 | -0.0502 | 50 | 27 | 23 |
| 2010-01-19 | 2010-02-05 | 2010-02-18 | -0.0226 | 22 | 14 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | -0.1 | 0.5 | -0.1 | 0.2 |
| 2010 | 0.8 | 0.3 | 0.1 | -0.1 | 0 | 0 | 0.2 | 0 | 0.1 | -0.2 | -0.2 | 0.2 | 1.2 |
| 2011 | 0.1 | -0.1 | 0 | 0.1 | -0.1 | -0.1 | 0.9 | -0.3 | -0.5 | -1.1 | -0.2 | 0.2 | -1.2 |
| 2012 | 0.2 | -0.1 | -0.1 | 0.2 | -0.6 | 0.2 | 0 | 0 | 0.2 | 0.4 | 0.1 | -0.3 | 0.1 |
| 2013 | 0.2 | -0.1 | -0.1 | 0 | -1.1 | 0.2 | -0.7 | 0.4 | -0.1 | -0.4 | 0 | 0.3 | -1.5 |
| 2014 | -0.1 | 0.1 | 0.4 | 0.3 | 0.1 | 0.2 | -0.3 | 0.2 | -0.3 | 0.3 | -0.4 | 0.1 | 0.4 |
| 2015 | 0.2 | 0.2 | -0.3 | -0.3 | -0.1 | 0.3 | 0 | -0.1 | -0.3 | 0.1 | 0.3 | 0.1 | 0 |
| 2016 | 0.1 | 0.5 | -0.7 | -0.2 | 0.1 | -0.2 | -0.1 | -0.1 | 0.2 | -0.4 | -0.8 | 0 | -1.5 |
| 2017 | 0.1 | -0.3 | 0.1 | 0.1 | 0.1 | 0 | 0 | 0 | 0.2 | 0 | 0.1 | -0.2 | 0.2 |
| 2018 | -0.8 | -0.3 | 0.3 | -0.5 | -0.1 | 0.3 | -0.8 | 0.1 | -1.5 | -0.3 | -0.4 | 0.9 | -3.1 |
| 2019 | -0.4 | 0.2 | 0.1 | -0.3 | -0.2 | -0.6 | -0.6 | 0.1 | -0.4 | -0.6 | -0.3 | 0 | -2.8 |
| 2020 | -0.1 | -1.2 | -4.2 | -1 | -0.1 | -0.5 | 0.2 | -0.4 | 0.2 | 0.2 | -0.6 | 0.4 | -6.9 |
| 2021 | -0.2 | -0.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-09-17 40.2 SPY 107. -1.50e-3 0.0226 0.0814 0.162 -0.081 -0.188 -0.0529 GLD 99.3 -0.0057 0.0168
2 2009-09-18 40.3 SPY 107. 6.00e-4 0.0235 0.0727 0.165 -0.107 -0.188 -0.0523 GLD 98.7 -0.0067 -0.0011
3 2009-09-21 40.2 SPY 106. -2.50e-3 0.0111 0.0541 0.192 -0.142 -0.192 -0.0535 GLD 98.4 -0.0031 0.0041
4 2009-09-22 40.4 SPY 107. 5.80e-3 0.0128 0.0398 0.198 -0.117 -0.192 -0.0521 GLD 99.7 0.0133 0.0078
5 2009-09-23 40.4 SPY 106. -8.30e-3 -0.0106 0.0313 0.178 -0.104 -0.195 -0.0481 GLD 98.8 -0.0084 -0.0108
6 2009-09-24 40.5 SPY 105. -1.10e-2 -0.0201 0.0179 0.140 -0.117 -0.201 -0.0535 GLD 97.6 -0.013 -0.018
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
